A note on monotone mean–variance preferences for continuous processes
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 397-400 |
| Journal / Publication | Operations Research Letters |
| Volume | 48 |
| Issue number | 4 |
| Online published | 11 May 2020 |
| Publication status | Published - Jul 2020 |
Link(s)
Abstract
We extend a recent result of Trybuła and Zawisza (2019), who investigate a continuous-time portfolio optimization problem under monotone mean–variance preferences. Their main finding is that the optimal strategies for monotone and classical mean–variance preferences coincide in a stochastic factor model for the financial market. We generalize this result to any model for the financial market where asset prices are continuous.
Research Area(s)
- Continuous processes, Mean–variance, Monotone mean–variance, Portfolio selection
Citation Format(s)
A note on monotone mean–variance preferences for continuous processes. / Strub, Moris S.; Li, Duan.
In: Operations Research Letters, Vol. 48, No. 4, 07.2020, p. 397-400.
In: Operations Research Letters, Vol. 48, No. 4, 07.2020, p. 397-400.
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
